Ghossoub, Mario - In: Insurance: Mathematics and Economics 61 (2015) C, pp. 27-35
-necessarily law-invariant risk measure constraint. Under a consistency requirement on the risk measure that we call Vigilance, we show … property. Vigilance is satisfied by a large class of risk measures, including all distortion risk measures and some classes of … robust risk measures. As an illustration, we consider a problem of optimal insurance design where the premium principle …
